The Hedge Algorithm in Continuous Time

Wouter M. Koolen

2015-05-25

Introduction

The Hedge algorithm (see Freund and Schapire (1997)) is one of the fundamental online learning algorithms. Hedge maintains weights on experts, and updates these weights in response to these experts incurring losses. Here we look at a version in “smooth” time. Instead of handing out the losses instantaneously, we consider what happens if we reveal them gradually.